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Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F10%3A10049935" target="_blank" >RIV/00216208:11230/10:10049935 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Value-at-risk in central and eastern european stock market : an empirical investigation using symmetric and asymmetric garch models

  • Original language description

    The article focuses on the calculation of Value-at-Risk (VaR) for major Central and Eastern European equity markets. Using daily return data from the four major Central and Eastern European stock markets including fourteen highly liquid stocks and ATX (Vienna), PX (Prague), BUX (Budapest), and WIG20 (Warsaw) market indices, the main goal of the study is to model the VaR using a set of univariate GARCH-type models. The results show that, in both in-sample and out-of-sample value-at-risk estimations, themodels based on asymmetric distribution of the error term tend to perform better or at least as well as the models based on symmetric distributions (i.e., Normal or Student) when the left tails of daily return distributions are concerned.

  • Czech name

  • Czech description

Classification

  • Type

    C - Chapter in a specialist book

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GA402%2F08%2F0004" target="_blank" >GA402/08/0004: Model of Credit Risk Management in the Czech Republic and its Applicability in the EU Banking Sector</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>Z - Vyzkumny zamer (s odkazem do CEZ)

Others

  • Publication year

    2010

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Book/collection name

    Advanced measurement techniques form market and operational risk

  • ISBN

    978-80-246-1871-5

  • Number of pages of the result

    42

  • Pages from-to

  • Number of pages of the book

    262

  • Publisher name

    Karolinum

  • Place of publication

    Prague

  • UT code for WoS chapter